Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0213 |
| Annualized Std Dev | 0.1762 |
| Annualized Sharpe (Rf=0%) | -0.1207 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4357.0000 |
| NAs | 1.0000 |
| Minimum | -0.2174 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1402 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0111 |
| Skewness | -2.0862 |
| Kurtosis | 56.9876 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0130 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.6683 |
| Historical VaR (95%) | -0.0136 |
| Historical ES (95%) | -0.0263 |
| Modified VaR (95%) | -0.0112 |
| Modified ES (95%) | -0.0112 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-02-03 | 2008-12-15 | NA | -0.6683 | 4060 | 974 | NA |
| 2004-05-05 | 2004-12-09 | 2005-01-07 | -0.0462 | 172 | 152 | 20 |
| 2003-12-15 | 2004-01-27 | 2004-05-04 | -0.0417 | 97 | 29 | 68 |
| 2005-01-14 | 2005-01-25 | 2005-02-01 | -0.0196 | 12 | 7 | 5 |
| 2003-12-01 | 2003-12-02 | 2003-12-09 | -0.0020 | 7 | 2 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | -0.5 | -0.7 |
| 2004 | 0.5 | -0.1 | -0.4 | 0.1 | 0.4 | -0.3 | 0.1 | 0 | 0 | -0.1 | -0.9 | 0.4 | -0.2 |
| 2005 | 0.5 | 0.8 | -0.8 | 0.7 | 0.9 | 1.6 | 0.2 | 0.6 | 1.3 | 0.5 | 0.1 | 0.2 | 6.8 |
| 2006 | 0.2 | 0.7 | 0.1 | 0.1 | 0.3 | -0.3 | 0.2 | 0.4 | 0.2 | 0.2 | -0.1 | -0.1 | 2 |
| 2007 | 0.7 | -1 | 0.1 | 0.1 | 0.2 | 0.6 | -1 | 0.8 | 1.1 | -0.8 | 1.1 | 0.5 | 2.5 |
| 2008 | -0.3 | 0 | 2.7 | 0.1 | 0 | 0.1 | 1.5 | -0.2 | 2.4 | -0.8 | -4.2 | 1.7 | 3 |
| 2009 | 2.7 | 4 | 1.4 | 0.8 | 2.7 | 1.4 | 3.7 | -1.2 | -1.7 | -1.7 | 1 | -1.2 | 12.3 |
| 2010 | 0.2 | 1.2 | 0 | 0.8 | -0.4 | 0.1 | 1.2 | -1 | -0.4 | 0.1 | 1.8 | -0.6 | 3 |
| 2011 | 0.6 | 0.8 | -0.2 | -0.1 | 0.6 | -0.2 | 1.7 | 2.3 | 2.3 | -2.1 | -0.8 | -0.1 | 4.8 |
| 2012 | -0.7 | 0.7 | -1.8 | 0.5 | -0.5 | -1.5 | -0.2 | 0.5 | 0.7 | 0.4 | -2.4 | -0.3 | -4.6 |
| 2013 | 0.7 | 0.4 | 0.2 | -1.2 | -1.5 | -1 | -0.3 | 0.1 | -0.4 | -0.6 | 0.1 | -0.3 | -3.9 |
| 2014 | 0.1 | -0.2 | 0.2 | 0.4 | 0.5 | -0.3 | -0.5 | -0.2 | 0.1 | -0.2 | -0.8 | 1.7 | 0.8 |
| 2015 | 0 | 0.3 | 0.2 | -0.4 | -0.3 | 0.4 | -0.2 | -0.1 | -0.5 | -0.8 | 0 | -0.1 | -1.4 |
| 2016 | -0.7 | 1.5 | -0.5 | 0.5 | 1 | 0.5 | -0.7 | 0.8 | 0.4 | -0.4 | -0.5 | 0.5 | 2.5 |
| 2017 | 0.1 | 0.3 | 0.5 | -0.1 | 0.1 | 1.8 | 0.3 | 0 | 0.1 | -0.1 | 0.3 | 0.3 | 3.6 |
| 2018 | 0.3 | 0.2 | 0.3 | 0.1 | 0.3 | -0.2 | 0 | 0.1 | 0.4 | 0.4 | -0.3 | 1 | 2.7 |
| 2019 | 0.5 | -0.2 | 1.3 | 0.5 | -1 | 0.2 | -0.4 | 0.2 | -0.3 | -0.2 | 0 | 0.3 | 0.8 |
| 2020 | -0.5 | -0.7 | -3.9 | -1 | 1.7 | 0.9 | 0 | 0.4 | 0.9 | 0.1 | 1 | -0.5 | -1.7 |
| 2021 | 1 | 0 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
